IFRS 9
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
IFRS 9 relief added €30bn to EU bank capital post-Covid
Greek banks are top beneficiaries of emergency measures
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Impaired loans drop 17% at RBC
Repayments on bad credits up 47% quarter on quarter
Weak EU banks may lowball Covid loan losses – ECB
Low-profitability banks provision less than their more flush counterparts
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Covid measures burnished NatWest’s capital ratios in Q3
UK bank’s CET1 ratio benefited 100bp from IFRS 9 relief alone
UK banks took £2bn of loan-loss provisions in Q3
Barclays and HSBC increased reserves the most out of the top lenders
Lloyds lightens 2020 ECL forecast, but projects a gloomier 2021
UK banks expects full-year loan-loss amounts to come hit lower end of £4.5 billion–5.5 billion range
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
At Santander, Covid relief for €75bn of loans expired through Q3
Sixteen per cent of loans coming out of payment holidays have experienced a fall in creditworthiness
Finding the corporate credit cycle for IFRS 9
Decomposing corporate default rates helps identify credit cycles
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Dark Covid outlook pumps up Lloyds’ loan-loss reserves
Base case for 2020 now projects UK GDP to drop 10%
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio